High oil beta stocks earn higher returns than low oil beta stocks following periods of positive relationship between oil price changes and the aggregate market return, or following periods of favorable aggregate demand shock for industry commodities, and vice versa. When excluding high and low...

I extract three oil risk factors using oil futures prices and returns of oil related firms. The first factor accounts for news that uniformly affects expected oil prices at all horizons, the second factor accounts for news that affects near term expected oil prices, and the third factor accounts...